Derek R. White

UNSW Australia Business School, School of Banking and Finance

Dr.

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 7,995

SSRN RANKINGS

Top 7,995

in Total Papers Downloads

8,201

SSRN CITATIONS
Rank 18,414

SSRN RANKINGS

Top 18,414

in Total Papers Citations

40

CROSSREF CITATIONS

17

Scholarly Papers (4)

1.

Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies

Number of pages: 63 Posted: 28 Nov 2003
John Okunev and Derek R. White
Bond University Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 3,573 (4,374)
Citation 30

Abstract:

Loading...

Hedge Funds, Value at Risk

2.

Do Momentum Based Strategies Still Work in Foreign Currency Markets?

Number of pages: 57 Posted: 01 Jun 2001
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Bond University Business School
Downloads 3,323 (4,985)
Citation 39

Abstract:

Loading...

Momentum, technical trading rules, GARCH, foreign exchange, bootstrap

3.

The Returns to Following Currency Forecasts

Number of pages: 62 Posted: 03 Jan 2004
Patrick Lehner, John Okunev and Derek R. White
Independent, Bond University Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 936 (35,387)

Abstract:

Loading...

Currency, Foreign Exchange, Forecasts, Bayes

4.

Moment Matching for the Masses

Number of pages: 36 Posted: 04 Aug 2006
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Bond University Business School
Downloads 369 (114,394)

Abstract:

Loading...

Value at Risk, Simulation, Cholesky decomposition, Risk Management